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Robo-advisors on the Swedish Market: From a Portfolio Management Perspective
Jönköping University, Jönköping International Business School.
Jönköping University, Jönköping International Business School.
2019 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Robo-advisory is a new category in portfolio management and the investment management industry. Few studies have been done on how robo-advisors’ perform in the long run. The purpose of this research is to replicate and backtest the Swedish robo-advisors’ from 2010 to 2019 and analyse their performance. Data is collected from several assets that represent the actual robo-advisors’ underlying assets. The collected data is tested through a correlation test to ensure that it accurately represents the real robo-advisors’ portfolios and performance. The portfolios’ are recreated and then backtested through the use of the online software Portfolio Visualiser applying mean-variance optimisation and the Black-Litterman model to allocate the portfolio assets. The research successfully replicates the robo-advisors’ portfolios and finds that one robo-advisor, Lysa, outperforms the alternatives in most risk settings and continuously delivers one of the highest risk-adjusted returns. The main contributing factor to differences in performance is found to be the proportion of stocks and bonds in the portfolios.

Place, publisher, year, edition, pages
2019. , p. 79
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-43920ISRN: JU-IHH-FÖA-2-20190791OAI: oai:DiVA.org:hj-43920DiVA, id: diva2:1319499
Subject / course
JIBS, Business Administration
Available from: 2019-06-13 Created: 2019-06-01 Last updated: 2019-06-13Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf